Falls of the price from its all-time high — drawdown

Splits a price history into its falls, the drawdown episodes. A fall starts on the last close at an all-time high, the peak, goes down to its lowest close, the trough, and ends on the first close back at or above the peak. The last fall is still going on when the price has not got back to its high. The highs are those of the history given: for a coin whose history starts after its real all-time high, the first fall starts on the first day.

Usage

drawdown_episodes(close, date, min_depth = 0)

Arguments

close: Numeric vector of close prices, sorted by date.
date: Dates of the closes.
min_depth: Smallest fall to keep, in percent below the peak: 20 keeps the falls that went at least 20% down. The default, 0, keeps them all.

Value

A data frame with a row per fall, the deepest first: peak_date and peak_price, trough_date and trough_price, depth_pct (from −100 to 0), days_to_trough (from the peak), recovery_date (NA while the fall goes on), days_to_recover (from the trough), days_total (from the peak to the recovery, or to the last date while the fall goes on) and ongoing.

Examples

drawdown_episodes(c(100, 120, 90, 130, 65, 70), as.Date("2026-01-01") + 0:5)
#>    peak_date peak_price trough_date trough_price depth_pct days_to_trough recovery_date days_to_recover days_total ongoing
#> 1 2026-01-04        130  2026-01-05           65       -50              1          <NA>              NA          2    TRUE
#> 2 2026-01-02        120  2026-01-03           90       -25              1    2026-01-04               1          2   FALSE
# only the falls of at least 40%
drawdown_episodes(c(100, 120, 90, 130, 65, 70), as.Date("2026-01-01") + 0:5, min_depth = 40)
#>    peak_date peak_price trough_date trough_price depth_pct days_to_trough recovery_date days_to_recover days_total ongoing
#> 1 2026-01-04        130  2026-01-05           65       -50              1          <NA>              NA          2    TRUE